When I was studying abroad in Hong Kong, we'd go up to Shenzhen fairly often. Sometime while on the KCR (rail system going to Shenzhen) we were talking with a lady who has her shirts made in Shenzhen. Dirt cheap, but oftentimes things like sleeve length would be wildly off. She was working in HK at the time, so she had time to go back and forth with the tailor. If you're just visiting, I'd suggest getting something made in HK; not to say that all tailors in Shenzhen are bad, but just be aware that the city is not like its southern neighbor...

While you're there, stay at the East Hawaii Massage Parlor/Hotel. For fifteen bucks or so you get an hourlong full body exfoliation, two hour massage, and a place to sleep. Not too shabby, if you ask me.

I live in Shenzhen now, and I've had tons of clothes made here, with varying success. As I'm sure you're aware, the tailors are all concentrated in the Luohu train station. Tailoring quality varies wildly from tailor to tailor and sometimes from garment to garment made by the same tailor. If you can afford it, get a suit made in Hong Kong, it will without a doubt be worth it. That said, I've helped one of my friends get a pretty decent suit three-piece hand-sewn, fully canvassed (from what I could tell) suit made for under $100 including fabric. Speaking of fabric, that's one of the limiting factors. It's just hard to find quality fabric among all the crap.

If you live in Shenzhen, I'd be happy to show you the ins and outs. The fabric market can be a little overwhelming. This of course is only if you can meet me sometime before April 9--I'm moving to India that day.